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Part BCSIR NET June 2024self-loop-needs-solving-not-summing

Self loop needs solving not summing

Let { | n ≥ 0} be a homogeneous Markov chain with state space S = {0, 1, 2, 3, 4} and transition probability matrix

01234
01/4003/40
101000
21/32/3000
33/4001/40
41/81/81/21/81/8

Let denote the probability that starting with state 4 the chain will eventually get absorbed in closed class {0, 3}. Then the value of is

  1. A.6/21
  2. B.11/21
  3. C.8/21
  4. D.10/21

You have the answer. Trap Analysis is why the other three were written.

Not a worked solution repeated four times — the specific reasoning error each wrong option was built to reward.

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50 are analysed free — try those first.

Related counterexample: An irreducible chain with a stationary distribution converges to it

More on this topic

The chapter behind this: Markov chains: classification and stationary behaviour — free to read

From Limit Theorems and Markov ChainsMarkov chains: classification of states, stationary distributions

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